关注
Andrew L. Allan
Andrew L. Allan
Assistant Professor, Durham University
在 durham.ac.uk 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
Pathwise stochastic control with applications to robust filtering
AL Allan, SN Cohen
The Annals of Applied Probability 30 (5), 2274-2310, 2020
122020
Model‐free portfolio theory: A rough path approach
AL Allan, C Cuchiero, C Liu, DJ Prömel
Mathematical Finance 33 (3), 709-765, 2023
112023
Ergodic backward stochastic difference equations
AL Allan, SN Cohen
Stochastics 88 (8), 1207-1239, 2016
102016
Parameter uncertainty in the Kalman--Bucy filter
AL Allan, SN Cohen
SIAM Journal on Control and Optimization 57 (3), 1646-1671, 2019
92019
A càdlàg rough path foundation for robust finance
AL Allan, C Liu, DJ Prömel
Finance and Stochastics 28 (1), 215-257, 2024
42024
Robust filtering and propagation of uncertainty in hidden Markov models
AL Allan
Electronic Journal of Probability 26, 1-37, 2021
32021
Càdlàg rough differential equations with reflecting barriers
AL Allan, C Liu, DJ Prömel
Stochastic Processes and their Applications 142, 79-104, 2021
12021
Rough Path Theory
AL Allan
Lecture Notes, ETH Zürich, 2021
12021
Rough Stochastic Analysis with Jumps
AL Allan, J Pieper
arXiv preprint arXiv:2408.06978, 2024
2024
Pathwise convergence of the Euler scheme for rough and stochastic differential equations
AL Allan, AP Kwossek, C Liu, DJ Prömel
arXiv preprint arXiv:2309.16489, 2023
2023
Parameter uncertainty in stochastic filtering
A Allan
University of Oxford, 2019
2019
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